As far as I can remember Windows's standard command-line interpreter (cmd.exe) is unusable in ocamlbuild's context (and in many others), because of its incomplete (and undocumented!) quoting behavior: there are plenty of commands that simply cannot be given as argument to "cmd /c" because they cannot be quoted properly. So, that leave little choice but going through a better shell like Cygwin's. Suggestions for alternative approaches most welcome. (Reclassified as "feature wish".)

First of all, thanks for reporting. While we believe you're
making a valid point, we don't have enough manpower to devote to this feature in
the foreseeable future. We're moving this to the resolved/suspended status: this
means the discussion is still open, but the PR won't appear in our to-do list.
You're welcome to reopen the issue if you have a patch; we would gladly review
it.

The next version of the Windows installer will encourage the user to install Cygwin. A few bugs have been fixed as well, and now ocamlbuild calls bash with what we believe is proper quoting. This should be announced in a few days, once we package the beta release of OCaml 4.00.

The official position is now: "if you want to get an ocaml development environment under Windows, just install cygwin". The windows installer will offer you the option of launching cygwin's setup.exe with the right set of packages preselected.

But of course we'd be glad to accept a patch that lifts the requirement on bash on Windows. That being said, I don't think anyone here wants to be the person who writes the patch :).